期刊文献+

违约相关的低违约组合违约率的估计 被引量:1

下载PDF
导出
摘要 文章在假设贷款组合中债务人违约相关的前提下,借助资产价值收益的单因素模型,根据最大谨慎原则估计了两个具体的低违约贷款组合的违约率,得到了给定置信水平下违约率置信区间的上边界值。文章还用最大似然方法估计了违约率,并将两种方法得到的违约率估计值进行了比较。
出处 《统计与决策》 CSSCI 北大核心 2008年第22期17-19,共3页 Statistics & Decision
基金 国家自然科学基金资助项目(70573076) 高等学校博士点基金资助项目(20050056057)
  • 相关文献

参考文献5

  • 1Katja Pluto and Dirk Tasche Estimating Probabilities of Default for Low Default Portfolios [A]. Bernd Engelmann, Robert Rauhmeier, The Basel Ⅱ Risk Parameters, Estimation, Validation,and Stress Testing [C]. Springer, 2006.
  • 2Vasicek O., Loan portfolio value[J]. Risk, 2002,(12).
  • 3Gordy M. A Risk-Factor Model Foundation for Rating-Based Bank Capital Rules [J]. Journal of Financial Intermediation, 2003,12(3).
  • 4Bemd Engelmann, Robert Rauhmeier (Editors) The Basel Ⅱ Risk Parameters, Estimation, Validation, and Stress Testing [C]. Springer, 2006.
  • 5Forrest, A. Low Default Portfolios - Theory and Practice[C]. Presentation to Credit Scoring and Credit Control 9 Conference, Edinburgh, 2005, (9).

同被引文献22

  • 1龚朴,何旭彪.信用风险评估模型与方法最新研究进展[J].管理评论,2005,17(5):8-16. 被引量:27
  • 2Anderson R. , Sundaresan S. and Tychon P. , 1996, Strategic Analysis of Contingent Claims[J]. European Economic Review, 4 (40): 871-881.
  • 3Black F. , Cox J. C. , 1976, Valuing Corporate Securities : Some Effects of Bond Indenture Provisions [J]. Journal of Finance, 2 (31): 351-367.
  • 4Chen C. J. and Panjer H., 2003, Unifying Discrete Structural Models and Reduced-form Models in Credit Risk Using a Jump-diffusion Process [J]. Insurance: Mathematics and Economics, 2 (33): 357-380.
  • 5Crook J. N. , Edelman D. B. and Thomas L.C. , 2007, Recent Developments in Consumer Credit Risk Assessment [J]. European Journal of Operational Research, 3 (183): 1447-1465.
  • 6Duffie D. and Singleton KJ. , 1999, Modeling Term Structures of Defaultable Bonds [J]. Review of Financial Studies, 4 (12): 687-720.
  • 7Francois P. and Morellec E. , 2004, Capital Structure and Asset Prices: Some Ef Jects of Bankruptcy Procedures [J]. Journal of Business, 2 (77): 493-511.
  • 8Frey R. and Backhaus J. , 2008, Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities [J]. International Journal of Theoretical and Applied Finance, 6 (11): 611-634.
  • 9Gordy M. B. , 2003, A Risk-Factor Model Foundation .for Ratings-Based Bank Capital Rules [J]. Journal of Financial Intermediation, 3 (12): 199-232.
  • 10Jarrow R. , Lando D. and Turnbull S. , 1997, A Markov Model for the Term Structure of Credit Risk Spread [J]. Review of Financial Studies, 10 (2): 481-523.

引证文献1

二级引证文献4

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部